Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Liontown Limited backtest
10 trend-following strategies were compared on the full daily history of Liontown Limited. 8 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 20.3%, MDD -49.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 12.1%, drawdown -98.5%).
Sharpe leader (same as main): Parabolic SAR — CAGR 20.2%, MDD -89.8%, Sharpe 0.59, 46% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 20.3%, MDD -49.3%, exposure 13%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 8.8%p (CAGR 20.3%, MDD -49.3%, exposure 13%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.26 |
20.2% | -89.8% | 0.59 | 0.22 | 37.4x | 188 | 46% |
| ADX / DI 방향성 period=27, threshold=34 |
20.3% | -49.3% | 0.59 | 0.41 | 38.3x | 26 | 13% |
| Donchian 채널 돌파 entryN=73, exitN=51 |
19.8% | -80.7% | 0.58 | 0.24 | 34.8x | 42 | 43% |
| MACD fast=12, slow=65, signal=28 |
15.9% | -93.3% | 0.56 | 0.17 | 18.3x | 185 | 49% |
| ROC 모멘텀 n=81, threshold=0.06 |
16.8% | -92.3% | 0.56 | 0.18 | 21.3x | 198 | 42% |
| 볼린저 밴드 돌파 n=48, k=3 |
17.0% | -82.5% | 0.54 | 0.21 | 21.9x | 56 | 23% |
| SMA 크로스오버 fast=7, slow=86 |
14.6% | -86.1% | 0.54 | 0.17 | 14.7x | 96 | 47% |
| EMA 크로스오버 fast=36, slow=108 |
15.0% | -84.1% | 0.53 | 0.18 | 15.8x | 36 | 46% |
| Supertrend period=25, mult=4.9 |
11.1% | -97.3% | 0.50 | 0.11 | 7.9x | 104 | 47% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=13, mult=2.3 |
5.9% | -98.1% | 0.40 | 0.06 | 3.1x | 102 | 35% |
| Buy and hold | 12.1% | -98.5% | 0.63 | 0.12 | 9.4x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots